この戦略は,クラシックMACD指標と200期SMA移動平均を組み合わせて取引信号を生成します.
MACDヒストグラムとモメントの両方が0を超える場合,特に長くなっています.高速MAは遅いMAよりも高くなります.200期SMAを超える価格は上昇傾向の2番目のフィルターとして機能します.逆の論理がショートを誘発します.
この戦略の利点は,短期トレンドとリズムのためにMACDと長期トレンド方向のためにSMAを使用することです.組み合わせは正確性を向上させ,ウィップソーを回避します.しかし,MACDとSMAの両方が遅れの問題があり,すぐに逆転を検出することはできません.
概要すると,MACD と SMA 200 のコンボ戦略は中長期保有に適しています.主要トレンド変化点を効果的に把握しています.しかし,上位/下位を追いかけるのを避けるために,指標信号のタイミングに注意が必要です.
/*backtest
start: 2023-08-11 00:00:00
end: 2023-09-10 00:00:00
period: 30m
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/
//@version=2
strategy("MACD + SMA 200 Strategy (by ChartArt)", shorttitle="CA_-_MACD_SMA_strategy", overlay=true)
// ChartArt's MACD + SMA 200 Strategy
//
// Version 1.0
// Idea by ChartArt on November 30, 2015.
//
// Here is a combination of the MACD with the
// slow moving average SMA 200 as a strategy.
//
// This strategy goes long if the MACD histogram
// and the MACD momentum are both above zero and
// the fast MACD moving average is above the
// slow MACD moving average. As additional long filter
// the recent price has to be above the SMA 200.
// If the inverse logic is true, the strategy
// goes short. For the worst case there is a
// max intraday equity loss of 50% filter.
// Input
source = input(close)
fastLength = input(12, minval=1, title="MACD fast moving average")
slowLength=input(26,minval=1, title="MACD slow moving average")
signalLength=input(9,minval=1, title="MACD signal line moving average")
veryslowLength=input(200,minval=1, title="Very slow moving average")
switch1=input(true, title="Enable Bar Color?")
switch2=input(true, title="Enable Moving Averages?")
switch3=input(true, title="Enable Background Color?")
// Calculation
fastMA = sma(source, fastLength)
slowMA = sma(source, slowLength)
veryslowMA = sma(source, veryslowLength)
macd = fastMA - slowMA
signal = sma(macd, signalLength)
hist = macd - signal
// Colors
MAtrendcolor = change(veryslowMA) > 0 ? green : red
trendcolor = fastMA > slowMA and change(veryslowMA) > 0 and close > slowMA ? green : fastMA < slowMA and change(veryslowMA) < 0 and close < slowMA ? red : blue
bartrendcolor = close > fastMA and close > slowMA and close > veryslowMA and change(slowMA) > 0 ? green : close < fastMA and close < slowMA and close < veryslowMA and change(slowMA) < 0 ? red : blue
backgroundcolor = slowMA > veryslowMA and crossover(hist, 0) and macd > 0 and fastMA > slowMA and close[slowLength] > veryslowMA ? green : slowMA < veryslowMA and crossunder(hist, 0) and macd < 0 and fastMA < slowMA and close[slowLength] < veryslowMA ? red : na
bgcolor(switch3?backgroundcolor:na,transp=80)
barcolor(switch1?bartrendcolor:na)
// Output
F=plot(switch2?fastMA:na,color=trendcolor)
S=plot(switch2?slowMA:na,color=trendcolor,linewidth=2)
V=plot(switch2?veryslowMA:na,color=MAtrendcolor,linewidth=4)
fill(F,V,color=gray)
// Strategy
buyprice = low
sellprice = high
cancelLong = slowMA < veryslowMA
cancelShort = slowMA > veryslowMA
if (cancelLong)
strategy.cancel("MACDLE")
if crossover(hist, 0) and macd > 0 and fastMA > slowMA and close[slowLength] > veryslowMA
strategy.entry("MACDLE", strategy.long, stop=buyprice, comment="Bullish")
if (cancelShort)
strategy.cancel("MACDSE")
if crossunder(hist, 0) and macd < 0 and fastMA < slowMA and close[slowLength] < veryslowMA
strategy.entry("MACDSE", strategy.short, stop=sellprice, comment="Bearish")
maxIdLossPcnt = input(50, "Max Intraday Loss(%)", type=float)
// strategy.risk.max_intraday_loss(maxIdLossPcnt, strategy.percent_of_equity)
//plot(strategy.equity, title="equity", color=red, linewidth=2, style=areabr)